![](https://d3ilqtpdwi981i.cloudfront.net/oijeH8dVjTgMTATFiOFmstDFxFw=/425x550/smart/https://bepress-attached-resources.s3.amazonaws.com/uploads/7a/0f/e5/7a0fe5ce-0422-4266-80d7-58cdf7d9e19f/thumbnail_747b956e-7d54-42cd-9e91-3bffc39c290c.jpg)
Article
Multi-Country Event Study Methods
Journal of Banking & Finance
Document Type
Article
Disciplines
Publication Date
11-1-2010
DOI
10.1016/j.jbankfin.2010.07.016
Abstract
We provide the first simulation evidence of event-study test performance in multi-country non-US samples. The nonparametric rank and generalized sign tests are more powerful than two common parametric tests, especially in multi-day windows. The two nonparametric tests are mostly well specified, but neither is perfectly specified in all situations. The parametric standardized cross-sectional test can provide a useful robustness check but is less powerful than the nonparametric tests and rejects too often in single-market samples and when firm-specific events affect the market index. Local-currency market-model abnormal returns using national market indexes are sufficient.
Copyright Owner
Elsevier B.V.
Copyright Date
2010
Language
en
File Format
application/pdf
Citation Information
Cynthia J. Campbell, Arnold R. Cowan and Valentina Salotti. "Multi-Country Event Study Methods" Journal of Banking & Finance Vol. 34 Iss. 12 (2010) p. 3078 - 3090 Available at: http://works.bepress.com/cynthia_campbell/11/
This is a post-print of an article from Journal of Banking & Finance, 34, no. 12 (2010): 3078–3090, doi:10.1016/j.jbankfin.2010.07.016.